A double-threshold GARCH model of stock market and currency shocks on stock returns

DOI10.1016/J.MATCOM.2008.01.048zbMATH Open1152.91740OpenAlexW2122240136MaRDI QIDQ960342FDOQ960342

Chialin Chang, Yung-Lieh Yang

Publication date: 17 December 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2008.01.048

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zbMATH Keywords

asymmetryexchange ratesthreshold valuesstock market returnsdouble-threshold GARCH model

Mathematics Subject Classification ID

Economic time series analysis (91B84) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroskedasticity in Asset Returns: A New Approach
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• On adaptive estimation in nonstationary ARMA models with GARCH errors
• Stationarity and the existence of moments of a family of GARCH processes.
• An econometric analysis of asymmetric volatility: theory and application to patents
• NECESSARY AND SUFFICIENT MOMENT CONDITIONS FOR THE GARCH(r,s) AND ASYMMETRIC POWER GARCH(r,s) MODELS
• AUTOMATED INFERENCE AND LEARNING IN MODELING FINANCIAL VOLATILITY
• Testing and Modeling Threshold Autoregressive Processes
• Threshold heteroskedastic models

Cited In (8)

• Domestic and international leverage effects of major Asian stock markets based on stochastic volatility models
• Foreigner investors and stock volatility: Evidence from Taiwan
• Asymmetric response and interaction of U.S. and local news in financial markets
• Simultaneity and Asymmetry of Returns and Volatilities: The Emerging Baltic States' Stock Exchanges
• Price and volatility spillovers between exchange rates and stock indexes for the pre- and post-euro period
• A quantile function approach to the distribution of financial returns following TGARCH models
• Quasi-maximum likelihood estimator of Laplace \((1,1)\) for GARCH models
• Further properties of random orthogonal matrix simulation

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